Correlation Between Bank Mandiri and Semacom Integrated

Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Semacom Integrated at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Bank Mandiri and Semacom Integrated into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Bank Mandiri Persero and Semacom Integrated Tbk, you can compare the effects of market volatilities on Bank Mandiri and Semacom Integrated and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Bank Mandiri with a short position of Semacom Integrated. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Semacom Integrated.

Diversification Opportunities for Bank Mandiri and Semacom Integrated

0.59

Correlation Coefficient

Bank Mandiri  Semacom Integrated

Very weak diversification

The 3 months correlation between Bank and Semacom is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Semacom Integrated Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semacom Integrated Tbk and Bank Mandiri is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Bank Mandiri Persero are associated (or correlated) with Semacom Integrated. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semacom Integrated Tbk has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Semacom Integrated go up and down completely randomly.

Pair Corralation between Bank Mandiri and Semacom Integrated

Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Semacom Integrated. But the stock apears to be less risky and, when comparing its historical volatility, Bank Mandiri Persero is 5.81 times less risky than Semacom Integrated. The stock trades about -0.43 of its potential returns per unit of risk. The Semacom Integrated Tbk is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  8,600  in Semacom Integrated Tbk on October 10, 2024 and sell it today you would earn a total of  400.00  from holding Semacom Integrated Tbk or generate 4.65% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Bank Mandiri Persero  vs.  Semacom Integrated Tbk

Bank Mandiri Persero

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Mandiri Persero has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Semacom Integrated Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Semacom Integrated Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Semacom Integrated is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Bank Mandiri and Semacom Integrated

The main advantage of trading using opposite Bank Mandiri and Semacom Integrated positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Semacom Integrated can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Semacom Integrated will offset losses from the drop in Semacom Integrated's long position.

The idea behind Bank Mandiri Persero and Semacom Integrated Tbk pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Valuation module to check real value of public entities based on technical and fundamental data.